You can’t use Pan-EU if you have even 1 marketplace closed/blocked (When the product has an EU plug you can exclude the UK), however you can continue to sell the item on FBA and on other marketplaces via cross-border fulfilment (can have very expensive fees compared to pan-EU).
Just to emphasise this, make sure the listing is created in each country and it is closed, otherwise the listing can be migrated over automatically and will go live, possibly without you even noticing. Similarly if you delete the listing instead of closing it then it can automatically be re-created.
You will always get this, the main thing usually is that you aren’t selling directly to those countries.
An EU law that came into effect about 6 months ago actually makes it illegal to sell a product to one EU country and refuse to sell it to customers from another, no-one knows if this will continue to apply once we leave the EU though (depends on our trade deals/etc.).